Safe Haven Ability of Energy and Agricultural Commodities Against G7 Stock Markets and Banking Indices During COVID-19, Russia–Ukraine War, and SVB Collapse: Evidence From the Wavelet Coherence Approach

Abstract

This article assesses the hedging and safe haven properties of energy and agricultural commodities (crude oil, natural gas, and wheat) against the G7 stock market indices and banking sector stock indices during the COVID-19 pandemic, the Russia–Ukraine military conflict, and the Silicon Valley Bank (SVB) collapse. Using wavelet coherence analysis, our results showed dynamic correlations in which commodities shifted from diversifiers to strong safe havens during periods of turmoil. Particularly, WTI became a safe haven during the SVB collapse, natural gas acted primarily as a safe haven during the pandemic, and wheat evolved into a robust safe haven during crises. Moreover, our results with the G7 banking sector stock indices underscore the safe haven ability of commodities against these financial assets, furnishing valuable insights for investors during unstable financial situations.